US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 24

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)

            USM    USN     TYM    TYN     FVM    FVN     EDM      EDN

3:00       7.10%  6.77%   3.38%  3.48%   2.50%  2.23%   13.52%   13.11%

11:00      9.85%  7.06%   1.94%  3.60%   2.94%  2.29%   13.05%    9.89%  

THU OPEN   7.98%  6.92%   3.26%  3.48%   2.54%  2.24%   12.77%   12.03%

WED 3:00   7.61%  7.13%   4.31%  3.62%   2.65%  2.32%   12.07%   11.42%

WED OPEN   8.39%  7.23%   4.42%  3.72%   2.71%  2.38%   12.23%   10.32%

TUE 3:00   7.18%  7.15%   3.55%  3.58%   2.26%  2.21%   12.62%   10.50% 

TUE OPEN   7.64%  7.35%   4.05%  3.61%   2.30%  2.25%   13.36%   11.23%

MON 3:00   8.07%  7.55%   4.00%  3.80%   2.34%  2.38%   13.04%   11.82%

MON OPEN   7.92%  7.50%   3.83%  3.72%   2.32%  2.28%   12.71%   11.46% 

FRI 3:00   6.81%  7.21%   3.37%  3.66%   1.78%  2.18%   12.37%   10.40% 

FRI OPEN   7.03%  7.31%   3.46%  3.64%   1.89%  2.23%   12.65%   11.32%

THU 3:00   7.33%  7.47%   3.58%  3.80%   2.14%  2.24%   12.21%   10.68%

THU OPEN   7.57%  7.64%   3.96%  3.90%   2.34%  2.32%   13.31%   10.78%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  120.00 C  116,127     -924   118.00 P  151,451  -4,075

JUL18 10Y NOTE  120.00 C  106,749   +2,723   118.00 P  116,746 +32,090 

JUN18 5Y NOTE   113.50 C   41,157   -4,002   105.50 P  156,003    UNCH

JUL18 5Y NOTE   113.00 C   62,317   +2,529   113.00 P   27,331  +4,422

JUN18 2Y NOTE   106.80 C   58,101     UNCH   106.12 P   30,010    UNCH

JUL18 2Y NOTE   106.37 C  119,511   +7,000   105.50 P    6,013    UNCH

JUN18 EURODLR    98.00 C  387,011     UNCH    97.50 P  557,522    -500

JUL18 EURODLR    97.75 C  110,160     UNCH    97.37 P  107,415    UNCH

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  469,149  -8,114

JUN20 2Y-MIDC    97.37 C  152,314      -80    97.37 P  164,602    UNCH

JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUN18 10Y NOTE  119.00 C   36,232   -8,845   119.00 P   89,831  -5,835

JUN18 10Y NOTE  119.50 C   69,105   +2,602   119.50 P   75,892  -2,441

JUL18 10Y NOTE  119.00 C   59,793   +4,911   119.00 P   28,717  +3,286

JUL18 10Y NOTE  119.50 C   94,511   -1,555   119.50 P    9,379      -4

JUN18 5Y NOTE   113.00 C    8,187     +472   113.00 P   29,983  -6,161

JUN18 5Y NOTE   113.50 C   41,157   -4,002   113.50 P   29,424  -5,495

JUL18 5Y NOTE   113.00 C   62,317   +2,529   113.00 P   27,331  +4,422

JUL18 5Y NOTE   113.50 C   28,598   +4,614   113.50 P    5,876     +97

JUN18 2Y NOTE   106.00 C    6,542     UNCH   106.00 P    2,858    UNCH

JUN18 2Y NOTE   106.12 C    6,811     UNCH   106.12 P   30,010    UNCH

JUL18 2Y NOTE   106.00 C    1,124     +100   106.00 P       60    UNCH

JUL18 2Y NOTE   106.12 C   42,704   +1,800   106.12 P        1    UNCH

JUN18 EURODLR    97.75 C  348,023   -3,576    97.75 P  379,322    +200

JUN18 EURODLR    97.87 C  382,027     +789    97.87 P  318,473    -865

JUL18 EURODLR    97.50 C   30,206     UNCH    97.50 P   99,996    -250

JUL18 EURODLR    97.62 C   67,366     UNCH    97.62 P   44,198    UNCH

JUN19 1Y-MIDC    97.37 C  155,209     UNCH    97.37 P  257,719    UNCH

JUN19 1Y-MIDC    97.50 C  192,214     UNCH    97.50 P  122,685    UNCH

JUN20 2Y-MIDC    97.00 C   42,580   +4,125    97.00 P   86,553    +200

JUN20 2Y-MIDC    97.12 C   75,918     +913    97.12 P  104,144    UNCH

JUN21 3Y-MIDC    96.87 C   19,855     UNCH    96.87 P   54,450    +174

JUN21 3Y-MIDC    97.00 C   65,318   +1,132    97.00 P   68,929    UNCH

     PUT/CALL RATIO FOR VOLUME CLEARED:

     JUN18 10Y NOTE PUT/CALL RATIO  -- 1.13 (193,449 PUTS VS. 171,224 CALLS)

JUL18 10Y NOTE PUT/CALL RATIO  -- 1.51 (276,012 PUTS VS. 183,138 CALLS)

JUN18 5Y NOTE PUT/CALL RATIO   -- 0.93 (38,200 PUTS VS. 40,882 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.89 (32,316 PUTS VS. 36,438 CALLS)

JUN18 2Y NOTE PUT/CALL RATIO   -- 1.44 (1,571 PUTS VS. 1,091 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.18 (2,469 PUTS VS. 13,510 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 1.67 (24,771 PUTS VS. 14,801 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.00 (300 PUTS VS. 0 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.52 (15,600 PUTS VS. 10,251 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 3.25 (14,645 PUTS VS. 4,500 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.00 (2,500 PUTS VS. 0 CALLS)

     (VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED ALL REFLECT

PRIOR 

SESSION'S DATA.)

     Swaption BP/Vol Via Bloomberg:

Time (ET)    3M/2Y   1M/10Y    3M/5Y   3M/10Y   2Y/10Y    5Y/5Y

3:00         43.57    57.80    55.69    59.51    68.75    73.06

11:00        43.48    57.32    55.66    59.40    68.77    72.98

THU OPEN     43.71    58.71    56.03    59.82    69.03    73.20

WED 3:00     43.81    58.37    56.07    60.12    69.18    73.16

WED OPEN     43.63    58.77    57.04    60.42    69.38    73.25

TUE 3:00     43.53    59.31    56.77    60.41    69.62    73.42

TUE OPEN     43.60    59.54    56.72    60.52    69.45    73.32

MON 3:00     43.63    59.72    56.71    60.72    69.33    73.21

MON OPEN     43.50    59.06    56.31    60.50    69.29    73.20

FRI 3:00     43.26    59.09    56.17    60.36    69.12    73.13

FRI OPEN     43.27    60.28    56.90    61.42    69.23    73.24

THU 3:00     43.26    60.12    56.69    61.35    69.19    73.21

THU OPEN     32.62    61.30    57.55    61.97    69.21    73.27

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]